International Review of Financial Analysis最新文献

{"title":"Fund tournaments and style drift","authors":"Li Yi,&nbsp;Yuelin Yan","doi":"10.1016/j.irfa.2024.103730","DOIUrl":"10.1016/j.irfa.2024.103730","url":null,"abstract":"<div><div>This paper examines how Chinese mutual funds actively alter the style drift of their top ten holdings in response to past performance in annual tournaments from the three dimensions: size, value, and momentum. Using a sample of equity funds from 2006 to 2023, we find that poorly performing funds in the first three quarters tend to increase their style drift activities in the last quarter. For different dimensions of style drift, we find that simply increasing size drift can improve the performance and ranking of a trailing fund and reduce the risk of the fund's net value crash. The evidence suggests that the intentional shifts in size drift are skilled. In addition, we find the better consequences of size drift change to be particularly pronounced for tournament funds with high activeness.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103730"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142560587","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The Heterogenous causality of repurchases: Analysis from the aspect of share collateralization","authors":"Dachen Sheng ,&nbsp;Heather A. Montgomery","doi":"10.1016/j.irfa.2024.103725","DOIUrl":"10.1016/j.irfa.2024.103725","url":null,"abstract":"<div><div>We explore the unique heterogeneity feature of the Chinese market to examine the relationship between firms' share collateralization by its largest shareholders and corporate repurchases. Furthermore, we analyze the divergent incentives resulting in different consequences for the performance of private firms and state-owned enterprises (SOEs). The policy effect of an amendment to the Company Law of the People's Republic of China is studied using the difference-in-differences method. The measure is changed to ensure the reliability and robustness of the causality results between collateralization and repurchases. The results show that higher collateralization increases the likelihood of firms' share repurchases. The repurchase incentive of firm performance diverges between private firms and SOEs. Some SOEs even attempt to support the policy and blindly herd to repurchase shares; however, when SOEs are assured of their operational efficiency, repurchases increase their profitability. Private firms use repurchases as a share price stabilizer to protect the interests of their large shareholders rather than to benefit minority and small shareholders. These results provide policy feedback and demonstrate the complexity of controlling for corporate incentives when market interests are highly mixed.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103725"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663261","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Volatility transmission and hedging strategies across green and conventional stocks in global markets","authors":"Renata Karkowska ,&nbsp;Szczepan Urjasz","doi":"10.1016/j.irfa.2024.103727","DOIUrl":"10.1016/j.irfa.2024.103727","url":null,"abstract":"<div><div>To secure financing for climate initiatives, it is crucial to minimize the risk associated with green investments and attract investors committed to a robust, sustainable, low-carbon economy. Motivated by this need, this study investigates the volatility transmission between green and conventional stocks in the US, Europe, and China, and evaluates the effectiveness of hedging strategies for green investments. The period from June 1, 2016, to December 31, 2023, was selected to capture significant events impacting global markets, such as environmental regulations, the COVID-19 pandemic, and the Russia-Ukraine war, providing a comprehensive view of market dynamics under various conditions.</div><div>We adopted the <span><span>Diebold and Yilmaz (2014)</span></span> approach using a TVP-VAR model to analyze market connectedness. Additionally, we utilize multivariate portfolio techniques to assess the effectiveness of hedging strategies. Our findings reveal that the US market is the primary transmitter of volatility, while the Chinese green stock market acts as a net receiver. This indicates substantial benefits from employing risk hedging and portfolio diversification strategies.</div><div>The study underscores the importance of understanding the interconnected dynamics of stock markets for global investors and policymakers. By comprehending these relationships, investors can better manage risks and make informed decisions, while policymakers can develop strategies to support stable and resilient financial systems that foster sustainable investment.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103727"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663271","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The impact of digital-oriented mergers and acquisitions on enterprise labor demand","authors":"Peng Liang ,&nbsp;Lin Liang ,&nbsp;Xinhui Tang","doi":"10.1016/j.irfa.2024.103778","DOIUrl":"10.1016/j.irfa.2024.103778","url":null,"abstract":"<div><div>Digital-oriented mergers and acquisitions (DOMA) are increasingly being adopted as strategic options by enterprises during digital transformation. They represent a crucial pathway for enterprises to transition from traditional to digital capabilities and enhance their digital competitiveness. Utilizing data from Chinese A-share listed companies from 2010 to 2020, this study thoroughly examines the relationship between DOMA and corporate labor demand, as well as the underlying mechanisms. Our findings reveal that DOMA positively impacts labor demand. Additionally, DOMA increases the proportion of highly educated and skilled labor forces, thereby amplifying the impact of human capital. Mechanism research further shows that DOMA enhances market synergies, thereby boosting labor demand. Moreover, heterogeneity analysis suggests that the positive effect of DOMA on labor demand is particularly pronounced in enterprises with lower market shares, lower M&amp;A premiums, higher market competition, non-high-tech enterprises and higher financial risk. This paper not only expands the research on DOMA and corporate labor demand, but also provides significant practical implications for generating new labor demand, catalyzing the intelligent transformation of enterprises.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103778"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663265","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Sovereign momentum currency returns","authors":"Giovanni Calice ,&nbsp;Ming-Tsung Lin","doi":"10.1016/j.irfa.2024.103472","DOIUrl":"10.1016/j.irfa.2024.103472","url":null,"abstract":"<div><div>We study the relationship between cross-sectional sovereign credit risk and currency spot prices. We find that past (up to 12-month average) sovereign credit risk, measured by sovereign credit default swap (CDS) spreads, predict future currency spot returns. In particular, we document a significant cross-sectional currency portfolio spread in excess of the risk-free rate of return (up to 9.6% p.a.) between the highest and the lowest quintile sovereign CDS spreads. Overall, our results indicate that sovereign credit risk is systematically important for currency returns. Moreover, the level of sovereign credit risk has a persistent effect on currency returns which is consistent with a sovereign momentum effect.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103472"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141843668","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Interbank deposits and bank systemic risk","authors":"Yulin Liu ,&nbsp;Muhammad Sadiq ,&nbsp;Fenghua Wen ,&nbsp;Zhiling Cao","doi":"10.1016/j.irfa.2024.103718","DOIUrl":"10.1016/j.irfa.2024.103718","url":null,"abstract":"<div><div>We examine the comprehensive causal impact of interbank deposits on bank systemic risk by using an international sample of Group of Twenty (G20) listed banks. Using the global wage direct deposit policy as an exogenous shock to interbank deposits, we find that higher interbank deposits result in greater bank systemic risk. A series of instrumental variable approaches, entropy-balanced method, and persistence tests further confirm our findings. Moreover, we document that interbank deposits influence systemic risk through two channels: interbank network linkages and bank risk-taking. Our study holds significant implications for both macro- and micro-prudential regulatory policies as it highlights the often-overlooked adverse impact of interbank deposits, which only a few countries incorporate into their prudential regulatory frameworks.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103718"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571281","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Social media attention and retail investor behavior: Evidence from r/wallstreetbets","authors":"Sonja Warkulat,&nbsp;Matthias Pelster","doi":"10.1016/j.irfa.2024.103721","DOIUrl":"10.1016/j.irfa.2024.103721","url":null,"abstract":"<div><div>This paper studies the influence of Reddit social media attention on investor risk-taking and welfare using individual trading data from a large trading platform. We show that attention generated on the subreddit r/wallstreetbets (WSB) spurs uninformed trading, also in short positions. WSB attention increases overall risk levels as investors trade riskier stocks and allocate larger portfolio shares to new positions. WSB attention significantly reduces holding period returns (HPRs). Positions created when WSB attention is at its highest realize −8.5% HPRs, while the average HPR across all investments is positive. Investment decisions of retail investors are more likely to be based on emotional responses to angry and disgusted user contributions on Reddit rather than analyst investment advice.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103721"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"FX resilience around the world: Fighting volatile cross-border capital flows","authors":"Louisa Chen ,&nbsp;Estelle Xue Liu ,&nbsp;Zijun Liu","doi":"10.1016/j.irfa.2024.103753","DOIUrl":"10.1016/j.irfa.2024.103753","url":null,"abstract":"<div><div>The volatility of cross-border capital flow (CF) has become higher in the last two decades. We use a sample of advanced and emerging market economies in the last two decades, with a focus on portfolio fund flows (equities and bonds). We find that the impact of portfolio CF volatility on exchange rate (FX) volatility is diminished in the short-term if specific economic fundamentals of the country are stronger, especially when these fundamentals pass certain threshold levels. The finding is controlled for different exchange rate regimes and the level of capital control. We further introduce an intuitive FX resilience measure that can be used to assess the stability of exchange rates in the context of heightened CF volatility. The decomposed FX resilience measure shows that the major contributing fundamentals to FX resilience are from the finance channel, including short-term interest rate, fiscal surplus, and financial development.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103753"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142663654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Transforming banking: Examining the role of AI technology innovation in boosting banks financial performance","authors":"Emmanuel Baffour Gyau ,&nbsp;Michael Appiah ,&nbsp;Bright Akwasi Gyamfi ,&nbsp;Theodoria Achie ,&nbsp;Muhammad Abubakr Naeem","doi":"10.1016/j.irfa.2024.103700","DOIUrl":"10.1016/j.irfa.2024.103700","url":null,"abstract":"<div><div>With the ongoing advancement of technology, artificial intelligence is increasingly being integrated into banking and finance, with the transformative potential to reshape the financial performance of economies worldwide. This research investigates the dynamic relationship between banking and finance artificial intelligence technology innovation and banks' financial performance across 20 countries using the feasible generalized least squares and the generalized method of moments techniques. The results show that banking and finance artificial intelligence technology innovation positively impacts banks' return on assets, highlighting its role in enhancing financial performance. The interaction term between artificial intelligence innovation and economic growth emphasizes their collaborative positive impact on financial performance. Mediation analysis highlights information and communication technology development's role in transforming artificial intelligence innovation into improved financial outcomes. Considering lagged effects, initial innovation surges correlate with improved financial performance, but prolonged exposure leads to diminishing returns. Moreover, the findings indicate that non-performing loans negatively affect financial performance, underscoring the importance of asset quality. Additionally, regulatory capital and economic growth are positively associated with financial performance, while government regulations exhibit a negative impact. This study highlights the essential role of artificial intelligence technology innovation in banking and finance, emphasizing the need to consider economic and technological factors for maximizing its benefits in enhancing financial performance. Policy recommendations include promoting an artificial intelligence innovation ecosystem, adapting regulatory frameworks, and investing in information and communication technology infrastructure to harness artificial intelligence innovation's benefits while addressing associated challenges.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103700"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142571276","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Tax credits for employee education expenses and firm-specific human capital accumulation: Evidence from China","authors":"Jianye Huang ,&nbsp;Yuting Li ,&nbsp;Shuai Wang ,&nbsp;Jingkun Zhang","doi":"10.1016/j.irfa.2024.103731","DOIUrl":"10.1016/j.irfa.2024.103731","url":null,"abstract":"<div><div>This paper investigates the effects of tax credits for employee education expenses (TCEEE) on firm-specific human capital accumulation (HCA) by exploiting the implementation of the policy of an increase in the pre-tax deduction ratio for employee education expenses in China as a quasi-natural experiment. Our findings indicate that TCEEE policy effectively promotes firm-specific HCA, as evidenced by an increase in highly educated and skilled employees. Mechanism analysis reveals that the TCEEE policy improves firm-specific HCA by increasing employee education expenses and alleviating liquidity constraints. Heterogeneity analysis demonstrates that the effect of the TCEEE policy on firm-specific HCA is more pronounced in firms with heavier tax burdens, tighter financing constraints, and lower labor adjustment costs. Further analysis shows that the TCEEE policy promotes labor productivity, operating performance, and innovation output. Our findings suggest that tax incentives for human capital investment can effectively support firm-specific HCA.</div></div>","PeriodicalId":48226,"journal":{"name":"International Review of Financial Analysis","volume":"96 ","pages":"Article 103731"},"PeriodicalIF":7.5,"publicationDate":"2024-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142561227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}